Determining the long run behaviour of the exchange rate of Libyan Dinar using Markov chain-Reference-Cited by-同舟云学术

Determining the long run behaviour of the exchange rate of Libyan Dinar using Markov chain

Published:2024-02-29 Issue:1 Volume:8 Page:19-25
ISSN:2576-4519
Container-title:MOJ Applied Bionics and Biomechanics
language:
Short-container-title:MOJABB

Author:

Abuaqila Massoud Khalid Mahdi,Hasan Husna

Abstract

The study of foreign exchange (FOREX) markets is known as foreign currency exchange. These rates provide crucial data to international monetary exchange markets. Using a Markov chain model, this study attempts to determine the behaviour of the Libyan (LYD) currency rate against the US Dollar (USD). Three states are observed. The transition probability matrix and starting state vector are calculated. The result shows that, the probability of being in one of three states, namely, increases, remain the same or decreases are 0.3614, 0.3268 and 0.3118, respectively. The expected number of visits and return time are also obtained.

Publisher

MedCrave Group, LLC

Reference17 articles.

1. Bairagi A, Kakaty, SC. A stochastic process approach to analyse students' performance in higher education institutions. Int J Stat Syst. 2017;12:323-342.

2. Bhattarai K, Ben-Naser A. Real exchange rate misalignments of Libyan dinar: fundamentals and markov switching regimes. 2021;1(1):151-162.

3. Bazina A. Determinants of exchange rate in Libya. Near East University Institute of Social Science. 2017.

4. Hamza SK, Ahmed AD, Hussein SA. Forecasting the exchange rate of the Iraqi dinar against the US dollar using Markov chains. Period Eng Nat Sci. 2020;8(2):626-631.

5. Christy I, Emmanuel M, Chiekwe IM, et al. Would exchange rate converge in nigeria? a stochastic-markov transition process analysis. J Econ Sustain Develop. 2013;4(16):191-196.